Garch process - PowerPoint PPT Presentation

Week 10: VaR and GARCH model

Week 10: VaR and GARCH model. Estimation of VaR with Pareto tail. Disadvantages (parametric and nonparametric method): For parametric method: the assumption of normal distribution is always not true.

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676 views • 41 slides

Rolling Hills

Rolling Hills. frank.ashe@mafc.mq.edu.au frank@quantstrat.com.au July 2007. The problem (i). Can’t tell you yet Stylised problem discussed here Standard approach used for consulting but this amusing viewpoint was tangential. The problem (stylised).

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440 views • 25 slides

Real Estate Investment in British Provincial Cities: Too Much or Too Little?

Real Estate Investment in British Provincial Cities: Too Much or Too Little?. Neil Dunse, Colin Jones and Michael White Heriot-Watt University Edinburgh Research funded by Scottish Widows Investment Partnership. Introduction.

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345 views • 23 slides

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